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st: panel cointegration test for small T


From   "Flora Hofmann" <flo.hofmann@gmx.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel cointegration test for small T
Date   Sat, 31 Oct 2009 19:07:46 +0100

Dear statalist, 


The time dimension in my panel dataset ranges from 1970 to 2000. However, the data is averaged over five year periods, thus I have a very small T (T=6). Following the panel unit root tests available in stata (Hadri, Levin-Lin-Chu, Fisher typ test)some series contain a unit root. Thus I want to test for cointegration. However, I can not apply the Westerlund test since, the time dimension is to short. (I obtain the following error message:  "... at least 17 observations are required. Following series do not contain sufficient observations....").

I am only just starting to work with stata and panel data as well. Is there anybody who could give me some advice on this one?

Regards
Flora 

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